Hmm, I'd assume you have Windows XP.
You could use Windows Movie Maker. Import the clips one by one, and then drag these into the one timeline. You could then add transitions and such here to make it so you know it has gone to the next one. You could also add titles.
Then make the movie clip. It exports as .wmv though but Nero 6 should be able to decode this to add it to a VCD. You are then done.
Hope this helps